Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution (Q2514710): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.ejor.2013.07.011
+Normal rank
@@ Property / OpenAlex ID @@
+W2102917145
@@ Property / OpenAlex ID: W2102917145 / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q124985992
@@ Property / Wikidata QID: Q124985992 / rank @@
+Normal rank
@@ Property / cites work @@
+Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
+Normal rank
@@ Property / cites work @@
+Extensions of Stein's Lemma for the Skew-Normal Distribution
+Normal rank
@@ Property / cites work @@
+On the multivariate extended skew-normal, normal-exponential, and normal-gamma distributions
+Normal rank
@@ Property / cites work @@
+On the Unification of Families of Skew-normal Distributions
+Normal rank
@@ Property / cites work @@
+A unified view on skewed distributions arising from selections
+Normal rank
@@ Property / cites work @@
+Multivariate extended skew-\(t\) distributions and related families
+Normal rank
@@ Property / cites work @@
+Q2736836
@@ Property / cites work: Q2736836 / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical Applications of the Multivariate Skew Normal Distribution
+Normal rank
@@ Property / cites work @@
+Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skew<i>t</i>-Distribution
+Normal rank
@@ Property / cites work @@
+The multivariate skew-normal distribution
@@ Property / cites work: The multivariate skew-normal distribution / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Likelihood Methods Based on the Skew-t and Related Distributions
+Normal rank
@@ Property / cites work @@
+A general class of multivariate skew-elliptical distributions
+Normal rank
@@ Property / cites work @@
+Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach
+Normal rank
@@ Property / cites work @@
+Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
+Normal rank
@@ Property / cites work @@
+Q3996150
@@ Property / cites work: Q3996150 / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio value-at-risk optimization for asymmetrically distributed asset returns
+Normal rank
@@ Property / cites work @@
+Additive properties of skew normal random vectors
@@ Property / cites work: Additive properties of skew normal random vectors / rank @@
+Normal rank
@@ Property / cites work @@
+Skew-symmetric distributions and Fisher information -- a tale of two densities
+Normal rank
@@ Property / cites work @@
+Portfolio selection with higher moments
@@ Property / cites work: Portfolio selection with higher moments / rank @@
+Normal rank
@@ Property / cites work @@
+Some results on the multivariate truncated normal distribution
+Normal rank
@@ Property / cites work @@
+Comparison of Alternative Utility Functions in Portfolio Selection Problems
+Normal rank
@@ Property / cites work @@
+Characteristic functions of scale mixtures of multivariate skew-normal distributions
+Normal rank
@@ Property / cites work @@
+On the generalization of Stein's lemma for elliptical class of distributions
+Normal rank
@@ Property / cites work @@
+Stein's lemma for elliptical random vectors
@@ Property / cites work: Stein's lemma for elliptical random vectors / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-variance-skewness model for portfolio selection with fuzzy returns
+Normal rank
@@ Property / cites work @@
+Siegel's formula via Stein's identities
@@ Property / cites work: Siegel's formula via Stein's identities / rank @@
+Normal rank
@@ Property / cites work @@
+Multistage optimization of option portfolio using higher order coherent risk measures
+Normal rank
@@ Property / cites work @@
+Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
+Normal rank
@@ Property / cites work @@
+A new class of multivariate skew distributions with applications to bayesian regression models
+Normal rank
@@ Property / cites work @@
+The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
+Normal rank
@@ Property / cites work @@
+A Surprising Covariance Involving the Minimum of Multivariate Normal Variables
+Normal rank
@@ Property / cites work @@
+Portfolio Selection and Asset Pricing—Three-Parameter Framework
+Normal rank
@@ Property / cites work @@
+Estimation of the mean of a multivariate normal distribution
+Normal rank